MFIM 644 Fixed Income Securities & Markets
This courses features analyses of U.S. and foreign fixed income markets and describes the various products, where and how they are traded, how they are priced, and how they are used to achieve a variety of financial goals including capital formation, interest rate risk management, and portfolio diversification. Topics covered include treasury, agency, corporate, and municipal bonds; floating rate bonds; mortgage-backed securities; term structure modeling; immunization; credit risk management; credit derivatives; and interest rate derivatives including swaps, caps and floors, and swaptions. The course also provides an introduction to the valuation of fixed income securities, the management and hedging of fixed income portfolios, and the valuation and usage of fixed income derivatives. Some of the contracts analyzed in the course include pure discount bonds, coupon bonds, callable bonds, floating rate notes, interest rate swaps, caps, floors, swaptions, inflation-indexed bonds, and convertible bonds. The course covers topics such as basic theoretical and empirical term structure concepts, short rate modeling, and the Heath-Jarrow-Morton methodology and market models.
Prerequisite
MFIM 636 Quantitative Finance I,
MFIM 638 Financial Analysis & Firm Valuation, and
MFIM 640 Investment Management